Simon
b8f67f99ae
- qlib_adapter/provider.py：SQLite 行情按 qlib 0.9.8 二进制格式落盘（起始索引头 + 逐日 float32、instruments 3 列、小写 instrument、晚上市 offset）
- qlib_adapter/dataset.py：qlib.init 幂等（{'day': uri}）+ D.features 读取 close 面板
- qlib_adapter/engine.py：QlibEngine（QuantEngine）v1 —— Qlib 数据管线回测与 LocalEngine 同记账规则（无未来函数/成本/涨跌停标注），factor_test 复用共享实现；Alpha158+LightGBM 为 TODO
- 真实 20 股验证：qlib 落盘 142 文件→读取→回测（-12.81%，Local 对照 -12.97%，差异为 qlib float32 存储）
- tests/test_qlib_engine.py 5 项（格式/roundtrip/晚上市 offset/回测/因子测试）→ pytest 86 passed / ruff clean
48 lines
1.3 KiB
Python
48 lines
1.3 KiB
Python
"""Qlib 数据读取（dataset）：qlib.init 幂等 + 从 provider_uri 读行情面板。"""
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from __future__ import annotations
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from datetime import date
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from pathlib import Path
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import pandas as pd
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_init_state: dict = {"uri": None}
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def ensure_qlib_init(provider_uri: Path) -> None:
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"""初始化 qlib（进程内同 uri 幂等；不同 uri 会重新 init）。"""
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if _init_state["uri"] == str(provider_uri):
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return
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import qlib
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from qlib.config import REG_CN
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qlib.init(provider_uri={"day": str(provider_uri)}, region=REG_CN)
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_init_state["uri"] = str(provider_uri)
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def load_close_panel(
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provider_uri: Path,
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symbols: list[str],
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start: date,
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end: date,
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) -> pd.DataFrame:
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"""经 qlib D.features 读取 $close，返回 date×symbol 面板（index datetime）。"""
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ensure_qlib_init(provider_uri)
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from qlib.data import D
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lower = [s.lower() for s in symbols]
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df = D.features(
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lower,
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["$close"],
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start_time=start.strftime("%Y-%m-%d"),
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end_time=end.strftime("%Y-%m-%d"),
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freq="day",
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)
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if df.empty:
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return pd.DataFrame()
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close = df["$close"].unstack(level="instrument")
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close.index = pd.to_datetime(close.index)
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close.columns = [c.upper() for c in close.columns]
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return close.sort_index()
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